Keep in mind that the OP was from 4 years ago. When the XP firewall first came out, I believe it was uni-directional only. I think it's changed since then, but I've never used it.

FWIW, I put the free version of zone alarm on a new laptop I setup with XP Pro. It seems to work ok for me. Lot's of pop-ups, but that's to be expected when it's new and you haven't trained it yet. My older laptop had a Symantec Corporate firewall. I didn't particularly like that one, but I lived with it for a long time. It did work, but it was annoying in some ways.

-David